I present some tricks useful in the simulation of stochastic differential equations, with particular attention to the simulation of rare fluctuations, a topic of interest in the light of recent theoretical work on optimal paths. The "best algorithm" and some problems connected to the treatment of the boundaries will be discussed.
Numerical tricks for studying large rare fluctuations
MANNELLA, RICCARDO
1998-01-01
Abstract
I present some tricks useful in the simulation of stochastic differential equations, with particular attention to the simulation of rare fluctuations, a topic of interest in the light of recent theoretical work on optimal paths. The "best algorithm" and some problems connected to the treatment of the boundaries will be discussed.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
